Yesterday near the close I bought some OTM calls on SOXL ($136.14 at the time). Jan192018 $163C $2.84 This was pretty close to the middle of the spread. Delta was ~ 0.2 when I placed the trade. Today SOXL gapped up and then wound its way down to close ~ $133.75, which was some $2.39 below the underlying when I purchased the calls. I would expect the price change due to delta alone to be some $0.48 (ignoring any drop in delta as the calls went farther OTM), and I would also expect time decay to be about $0.08 (original price divided by roughly 42 days to expiration). So, disregarding volatility effects, I can see my way to these calls dropping from $2.84 to $2.28 or so. The middle of the bid/ask is currently $1.90, which seems like too big a drop, especially if volatility climbed. (I can't find IV/HV data right at the moment, as I'm trading with a new broker and still trying to find my way around their site.) Am I missing something? LOL.